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Abstract
Richard Roll observed that continuous markets are more volatile than other market structures. If it is true that continuous markets induce volatility, then unless we change that market structure, we will continue to be plagued with sporadic bursts of nonfunctional, uninformative volatility. This article looks to the underlying reasons and suggests a more serviceable market structure.
TOPICS: Legal/regulatory/public policy, quantitative methods
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- Article
- Abstract
- THE BASIC PROBLEM
- MITIGATING STRATEGY #1: LIMIT ORDERS
- MITIGATING STRATEGY #2: PARTIAL EXECUTIONS
- A BETTER MARKET STRUCTURE
- ENHANCING THE CALL MARKET TO ADDRESS THE BASIC PROBLEM
- THE AND CONDITION
- THE OR CONDITION
- COMPELLING EVIDENCE IN FAVOR OF THE COMBINATORIC CALL MARKET
- TRANSITIONING TO A BETTER MARKET STRUCTURE
- ENDNOTES
- REFERENCES
- Info & Metrics
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